public override void Subscribe(Instrument instrument)
{
//Task.Factory.StartNew(() => SubscribeForTest(instrument));
//return;
string altSymbol;
string altExchange;
string apiSymbol;
string apiExchange;
double apiTickSize;
GetApi_Symbol_Exchange_TickSize(instrument, this.id,
out altSymbol, out altExchange,
out apiSymbol, out apiExchange,
out apiTickSize);
// 如果是对CTP接口，使用UFX的参数进行订阅是否有问题？IF1802.7,目前猜没有问题
string Symbol_Dot_Exchange = string.Format("{0}.{1}", apiSymbol, apiExchange);
string Symbol_Dot = string.Format("{0}.", apiSymbol);
string Symbol = apiSymbol;
MarketDataRecord record;
if (!marketDataRecords.TryGetValue(Symbol_Dot_Exchange, out record))
{
record = new MarketDataRecord();
record.TradeRequested = true;
record.QuoteRequested = true;
record.MarketDepthRequested = true;
record.Symbol = apiSymbol;
record.Exchange = apiExchange;
record.Symbol_Dot = Symbol_Dot;
record.Symbol_Dot_Exchange = Symbol_Dot_Exchange;
// 可能没有交易所信息
marketDataRecords[Symbol_Dot_Exchange] = record;
marketDataRecords[Symbol_Dot] = record;
marketDataRecords[Symbol] = record;
record.Instrument = instrument.Symbol;
record.Ids.Add(instrument.Id);
Subscribe(record);
}
else
{
record.Ids.Add(instrument.Id);
}
}
private void Unsubscribe(MarketDataRecord record)
{
if (IsApiConnected(_MdApi))
{
_MdApi.GetLog().Info("退订合约:Symbol:{0};InstrumentID:{1};ExchangeID:{2}", record.Instrument, record.Symbol, record.Exchange);
_MdApi.Unsubscribe(record.Symbol, record.Exchange);
}
if (SubscribeQuote)
{
if (IsApiConnected(_QuoteRequestApi))
{
_QuoteRequestApi.UnsubscribeQuote(record.Symbol, record.Exchange);
}
}
}
public double FixPrice(MarketDataRecord record, double price, SmartQuant.OrderSide Side, double tickSize)
{
double LowerLimitPrice = record.DepthMarket.LowerLimitPrice;
double UpperLimitPrice = record.DepthMarket.UpperLimitPrice;
//没有设置就直接用
if (tickSize > 0)
{
decimal remainder = ((decimal)price % (decimal)tickSize);
if (remainder != 0)
{
if (Side == SmartQuant.OrderSide.Buy)
{
price = Math.Round(Math.Ceiling(price / tickSize) * tickSize, 6);
}
else
{
price = Math.Round(Math.Floor(price / tickSize) * tickSize, 6);
}
}
else
{
//正好能整除，不操作
}
}
if (0 == UpperLimitPrice &&
0 == LowerLimitPrice)
{
//涨跌停无效
_TdApi.GetLog().Warn("Symbol:{0},Symbol_Dot_Exchange:{1},LowerLimitPrice && UpperLimitPrice 为0,没有进行价格修正",
record.Symbol, record.Symbol_Dot_Exchange);
}
else
{
//防止价格超过涨跌停
if (price >= UpperLimitPrice)
{
price = UpperLimitPrice;
}
else if (price <= LowerLimitPrice)
{
price = LowerLimitPrice;
}
}
return(price);
}
//public double FixPrice(double price, SmartQuant.OrderSide Side, double tickSize, double LowerLimitPrice, double UpperLimitPrice)
//{
// //没有设置就直接用
// if (tickSize > 0)
// {
// decimal remainder = ((decimal)price % (decimal)tickSize);
// if (remainder != 0)
// {
// if (Side == SmartQuant.OrderSide.Buy)
// {
// price = Math.Round(Math.Ceiling(price / tickSize) * tickSize, 6);
// }
// else
// {
// price = Math.Round(Math.Floor(price / tickSize) * tickSize, 6);
// }
// }
// else
// {
// //正好能整除，不操作
// }
// }
// if (0 == UpperLimitPrice
// && 0 == LowerLimitPrice)
// {
// //涨跌停无效
// }
// else
// {
// //防止价格超过涨跌停
// if (price >= UpperLimitPrice)
// price = UpperLimitPrice;
// else if (price <= LowerLimitPrice)
// price = LowerLimitPrice;
// }
// return price;
//}
public double FixPrice(MarketDataRecord record,double price, SmartQuant.OrderSide Side, double tickSize)
{
double LowerLimitPrice = record.DepthMarket.LowerLimitPrice;
double UpperLimitPrice = record.DepthMarket.UpperLimitPrice;
//没有设置就直接用
if (tickSize > 0)
{
decimal remainder = ((decimal)price % (decimal)tickSize);
if (remainder != 0)
{
if (Side == SmartQuant.OrderSide.Buy)
{
price = Math.Round(Math.Ceiling(price / tickSize) * tickSize, 6);
}
else
{
price = Math.Round(Math.Floor(price / tickSize) * tickSize, 6);
}
}
else
{
//正好能整除，不操作
}
}
if (0 == UpperLimitPrice
&& 0 == LowerLimitPrice)
{
//涨跌停无效
_TdApi.Log.Warn("Symbol:{0},Symbol_Dot_Exchange:{1},LowerLimitPrice && UpperLimitPrice 为0,没有进行价格修正",
record.Symbol,record.Symbol_Dot_Exchange);
}
else
{
//防止价格超过涨跌停
if (price >= UpperLimitPrice)
price = UpperLimitPrice;
else if (price <= LowerLimitPrice)
price = LowerLimitPrice;
}
return price;
}
public override void Subscribe(Instrument instrument)
{
//Task.Factory.StartNew(() => SubscribeForTest(instrument));
//return;
string altSymbol;
string altExchange;
string apiSymbol;
string apiExchange;
double apiTickSize;
GetApi_Symbol_Exchange_TickSize(instrument,
out altSymbol, out altExchange,
out apiSymbol, out apiExchange,
out apiTickSize);
string Symbol_Dot_Exchange = string.Format("{0}.{1}", apiSymbol, apiExchange);
string Symbol_Dot = string.Format("{0}.", apiSymbol);
string Symbol = apiSymbol;
MarketDataRecord record;
if (!marketDataRecords.TryGetValue(Symbol_Dot_Exchange, out record))
{
record = new MarketDataRecord(instrument);
record.Symbol = Symbol;
record.Exchange = apiExchange;
record.Symbol_Dot = Symbol_Dot;
record.Symbol_Dot_Exchange = Symbol_Dot_Exchange;
// 可能没有交易所信息
marketDataRecords[Symbol_Dot_Exchange] = record;
marketDataRecords[Symbol_Dot] = record;
marketDataRecords[Symbol] = record;
}
record.TradeRequested = true;
record.QuoteRequested = true;
record.MarketDepthRequested = true;
Subscribe(record);
}
private void Subscribe(MarketDataRecord record)
{
if (IsApiConnected(_MdApi))
{
_MdApi.GetLog().Info("订阅合约:Symbol:{0};InstrumentID:{1};ExchangeID:{2}", record.Instrument, record.Symbol, record.Exchange);
_MdApi.Subscribe(record.Symbol, record.Exchange);
}
else
{
EmitError("行情服务器没有连接");
xlog.Error("行情服务器没有连接");
}
if (SubscribeQuote)
{
if (IsApiConnected(_QuoteRequestApi))
{
_QuoteRequestApi.SubscribeQuote(record.Symbol, record.Exchange);
}
}
}
